Background: Alzheimer’s disease (AD) and type 2 diabetes mellitus (T2DM) share metabolic alterations such as abnormal insulin and lipid metabolism and have some common genetic factors such as APOE genotype. Taking this into account, we hypothesized that we could identify common genetic factors involved in the development of diabetes and cardiovascular diseases. Methodology: We first genotyped 48 single nucleotide polymorphisms (SNPs) previously associated with AD in a cohort composed of 330 patients with cognitive impairment (CI) to assess their association with plasma lipids. Second, we conducted pleiotropy-informed conjunctional false discovery rate (FDR) analysis designed to identify shared variants between AD and plasma lipid levels. Finally, we used the SNPs to be found associated with lipid parameters and AD to search for associations with lipoprotein parameters in 281 patients with cardiometabolic risk. Results: Five SNPs were significantly associated with lower levels of cholesterol transported in remnant lipoprotein particles (RLPc) in subjects with CI; among these SNPs was the rs73572039 variant in PVRL2. Stratified QQ-plots were conducted on GWAS designed for AD and triglycerides (TG). The cross-trait analysis resulted in a total of 22 independent genomic loci associated with both AD and TG levels with a conjFDR < 0.05. Among these loci, two pleiotropic variants were located in PVRL2 (rs12978931 and rs11667640). The three SNPs in PVRL2 were significantly associated with RLPc, TG, and number of circulating VLDL and HDL particles in subjects with cardiometabolic risk. Conclusions: We have identified three variants in PVRL2 that predispose individuals to AD that also influence the lipid profile that confers cardiovascular risk in T2DM subjects. PVRL2 is a potential new modulating factor of atherogenic dyslipidemia.